Distribution-free predictive inference for individual treatment effects is impossible: any valid set must have infinite expected length under standard assumptions with continuous covariates.
Who should be treated? empirical welfare maximization methods for treatment choice.Econometrica, 86(2):591–616
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Impossibility of Distribution-Free Predictive Inference for Individual Treatment Effects
Distribution-free predictive inference for individual treatment effects is impossible: any valid set must have infinite expected length under standard assumptions with continuous covariates.